{
  "objective": "Reverse-engineer disclosed commodity-option mechanisms; evaluate return, drawdown and implementability rather than fit the author's reported performance.",
  "created_local_date": "2026-10-12",
  "status": "data_audit_before_backtest",
  "scope": ["silver volatility-decay selling", "directional versus neutral protected selling", "lithium calendar and put-ratio payoff/risk reconstruction", "drawdown attribution and execution robustness"],
  "evidence": {
    "article": "https://mp.weixin.qq.com/s/ZewP0ZXa0cQD-YmlIjYVZw",
    "author_returns": "unverified self-disclosure; not target values for parameter selection",
    "image_010": "silver weighted IV falls after spike; contest starts after spike",
    "images_014_015": "AI-generated secondary analysis; cannot establish leverage, flat positions, trade expectancy or causality",
    "missing": ["author full dated positions and cashflows", "exact quantity ratios and expiries", "historical bid/ask and broker margin"]
  },
  "hypotheses": [
    "High but declining IV plus declining realized volatility improves subsequent short-premium returns versus fixed entry",
    "Directional filtering improves selling after trend exhaustion versus an unconditional condor",
    "Tail protection reduces stress losses enough to justify its premium cost",
    "Calendar and put-ratio profits depend on term structure and terminal-price interval, not universally defensive payoffs"
  ],
  "initial_candidates": ["fixed_condor", "decay_condor", "decay_directional_credit_spread", "decay_directional_with_exit_guard"],
  "initial_rules_not_author_parameters": {
    "signal": "ATM IV from actual 20-60 calendar-day chains; high versus trailing history, negative 5-session IV change and declining 10-session realized volatility",
    "iv_percentile_window": 126,
    "iv_minimum_history": 60,
    "iv_percentile_threshold": 0.6,
    "entry_dte": [25,50],
    "target_dte": 35,
    "short_strike_standard_deviations": 0.7,
    "long_strike_standard_deviations": 1.4,
    "trend": "underlying same-contract 20-session return; falling: call spread; rising: put spread; near-flat: condor",
    "signal_execution": "select legs and size after t close; hypothetical fill t+1 close only with liquidity; no same-close signals and fills",
    "minimum_prior_volume": 10,
    "minimum_prior_open_interest": 20,
    "participation_cap": 0.01,
    "entry_frequency": "weekly, at most one open combination",
    "capital_cny": 1000000,
    "risk_budget_fraction": 0.05,
    "max_holding_sessions": 10,
    "exit_before_dte": 7,
    "profit_take_credit_fraction": 0.5,
    "guard": "exit on IV reacceleration or marked loss equal to opening credit; following session execution",
    "option_multiplier": 15,
    "option_tick": 0.5,
    "fee_per_leg_per_side_cny_assumption": 5,
    "slippage_scenarios": ["1 tick + 0.5% premium", "2 ticks + 1% premium", "4 ticks + 2% premium"],
    "cash_interest": 0
  },
  "validation": ["reconcile cash and option marked value", "no duplicated contract/day", "no trade before signal", "no missing mark silently treated as zero", "expiry and American-exercise limitations explicit", "2025 development / 2026 chronological holdout if historical chain repaired", "report all prespecified candidates", "same risk budget and matched-exposure controls", "show trade count, exposure, worst day, drawdown, stress and cost sensitivity", "avoid claiming holdout is pristine: 2026 article and charts already observed"],
  "official_contract_source": "https://www.shfe.cn/products/option/ferrousandpreciousmetal/ag_o/standard_ag_o/202312/t20231205_331333.html"
}